Some solutions on the internet suggest installing it via a package manager.

rvm pkg install libyaml

However, although this process will claim to work, when you come to run the command again, it will fail at the same point. Instead, you need to download libyaml, which you can do here, then extract it, cd into the directory and run the following commands.

./configure
make
make install

You don’t need to sudo. You should now be able to run the install command again.